As Jim mentioned, this may be a simple tuning issue. If the reg is providing more gas than you demand, then it isn't tuned properly. You can simply turn your inhalation adjustment knob "in" to tighten up the reg (increase the cracking pressure). On a related note, in-between dives, remember to store your second stages with the inhalation adjustment knob turned all the way "out" (easiest breathing position). This will minimize wear and tear on the low pressure seat inside.
If manipulating the inhalation adjustment knob doesn't help, then take it to a pro. Your local reg repair tech should be able to do this for little or no charge. If the shop sold you the reg, tuning it should be free of charge. In brief, the tech will verify that the first stage intermediate pressure is in the acceptable range (probably 130 - 150 psi). Then he will remove the second stage from the LP hose and adjust the lever height by turning the crown orifice. No big deal really. The adjustment should only take a few minutes.
Skillful reg tuning strikes a balance between ease of breathing and freeflow. High-end reg setups (like the S600/MK25) are generally tuned more aggressively -- very easy to breathe but may be on the edge of freeflow. Rental regs are usually low- or middle-of-the-line robust, work-horse regs that are tuned to guard against freeflow and breathe a little harder than the high-end regs.
I think my air consumption may have increased slightly after I started using an aggressively tuned reg, but I think having a lower work of breathing was well worth it.
Hope this info helps...